Advanced Search
MyIDEAS: Login to follow this author

Eric Benhamou

Contents:

This is information that was supplied by Eric Benhamou in registering through RePEc. If you are Eric Benhamou , you may change this information at the RePEc Author Service. Or if you are not registered and would like to be listed as well, register at the RePEc Author Service. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

Personal Details

First Name: Eric
Middle Name:
Last Name: Benhamou
Suffix:

RePEc Short-ID: pbe39

Email:
Homepage: http://www.ericbenhamou.fr.st
Postal Address: CDC Ixis CM 47 Quai d'Austerlitz 75013 Paris Cedex France
Phone: 0033 1 55 581598

Affiliation

CDC Ixis CM
Homepage: http://www.cdcixis.com
Location: France, Paris

Works

as in new window

Working papers

  1. Eric Benhamou, 2002. "Smart Monte Carlo: Various tricks using Malliavin calculus," Finance, EconWPA 0212004, EconWPA.
  2. Eric Benhamou, 2002. "A Martingale Result for Convexity Adjustment in the Black Pricing Model," Finance, EconWPA 0212005, EconWPA.
  3. Eric Benhamou, 2002. "Option pricing with Levy Process," Finance, EconWPA 0212006, EconWPA.
  4. Eric Benhamou, 2002. "A Generalisation of Malliavin Weighted Scheme for Fast Computation of the Greeks," Finance, EconWPA 0212003, EconWPA.
  5. Eric Benhamou & Alexandre Duguet, 2000. "A 2 Dimensional Pde For Discrete Asian Options," Computing in Economics and Finance 2000, Society for Computational Economics 33, Society for Computational Economics.

Articles

  1. Benhamou, Eric & Duguet, Alexandre, 2003. "Small dimension PDE for discrete Asian options," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 27(11-12), pages 2095-2114, September.

Statistics

Most cited item

Most downloaded item (past 12 months)

Access and download statistics for all items

Corrections

For general information on how to correct material on RePEc, see these instructions.

To update listings or check citations waiting for approval, Eric Benhamou should log into the RePEc Author Service

To make corrections to the bibliographic information of a particular item, find the technical contact on the abstract page of that item. There, details are also given on how to add or correct references and citations.

To link different versions of the same work, where versions have a different title, use this form. Note that if the versions have a very similar title and are in the author's profile, the links will usually be created automatically.

Please note that most corrections can take a couple of weeks to filter through the various RePEc services.